You need two things:
1: A means of getting the footage from the camera into the computer.
2: A program to convert the footage into a DVD.
1 can be done using a Firewire connection, sometimes known as IEEE1394 or ILink. Your computer must have as Firewire connection (it's often the case) and your camera must also have a FireWire connection. If your computer does not have a Fireire connection, an add-in board would be needed, they're about 50-60 euro. Depeding on what's at either end, you need a 6 pin/4 pin IEEE1394 cable. These cost up to 30 euro.
2: A program like Cyberlink Powerproducer (there are others) can then take the files and make a DVD. These programs allow for editing captioning, music overlay and special effects.
BUT: I find the DVDs can be quite troublesome and don't always play on other people's DVD players.
A more reliable way, but with less options, is to connect your camera to a DVD Recorder (the type used for recording TV programs etc) and make the DVD that way.